Game options approach in company radical technological innovation with generalized poisson jump process

A. El Hajaji, A. Serghini (), K. Mokhlis, K. Hilal and E. B. Mermri
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A. El Hajaji: ,‡LERSEM Laboratory, ENCGJ, University of Chouaïb Doukkali, El Jadida, Morocco
A. Serghini: #x2020;LANO Laboratory, FSO-ESTO, University Mohammed Premier, Oujda, Morocco
K. Mokhlis: ,‡LERSEM Laboratory, ENCGJ, University of Chouaïb Doukkali, El Jadida, Morocco
K. Hilal: #xA7;LMC Laboratory, FST, University of Sultan Moulay Slimane, Beni-Mellal, Morocco
E. B. Mermri: #xB6;Department of Mathematics and Computer Science, FS, University Mohammed Premier, Oujda, Morocco

International Journal of Financial Engineering (IJFE), 2017, vol. 04, issue 02n03, 1-18

Abstract: This paper presents the Generalized Poisson Jump Process to describe the effect of radical technological innovation on the market. It defines the market impact index of radical technological innovation, and constructs a real option game model for radical technological innovation. Besides, this paper develops a numerical method in the model to show that the market impact index of radical technological innovation and the Generalized Poisson Process parameter both have a good influence on both the investment value and investment limit.

Keywords: Radical technological innovation; real options; option game; generalized poisson jump process (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1142/S2424786317500311

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